The Secret Files of the Diogenes Club — Kim Newman

From the 1860s to the present, these are the accounts of the Diogenes Club, whose agents solve crimes too strange for Britain's police, protecting the realm and this entire plane of existence from occult menaces, threats born in other dimensions, magical perfidy and the Deep Dark Deadly Ones. Kim Newman continues the series began in The Man From the Diogenes Club, revealing more of the secrets of the British Empire's most secret service.